Neural Networks for Time-Series Forecasting

Project No. 2 Neural Networks for Time Series Forecasting i Neural Networks for Time Series Forecasting Gregor von Laszewski gregor@npac.syr.edu

[1]  Fred Collopy,et al.  How effective are neural networks at forecasting and prediction? A review and evaluation , 1998 .

[2]  Ramesh Sharda,et al.  Connectionist approach to time series prediction: an empirical test , 1992, J. Intell. Manuf..

[3]  Xin Yao,et al.  Ensemble learning via negative correlation , 1999, Neural Networks.

[4]  Bo K. Wong,et al.  Neural network applications in finance: A review and analysis of literature (1990-1996) , 1998, Inf. Manag..

[5]  Les E. Atlas,et al.  Recurrent neural networks and robust time series prediction , 1994, IEEE Trans. Neural Networks.

[6]  W. Rivera,et al.  Short term wind speed forecasting in La Venta, Oaxaca, México, using artificial neural networks , 2009 .

[7]  Min Qi,et al.  Predicting Consumer Retail Sales Using Neural Networks , 2002 .

[8]  Arye Nehorai,et al.  On multistep prediction error methods for time series models , 1989 .

[9]  Guoqiang Peter Zhang,et al.  Avoiding Pitfalls in Neural Network Research , 2007, IEEE Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews).

[10]  Edward Gately Neural networks for financial forecasting , 1995 .

[11]  Thomas Kolarik,et al.  Time series forecasting using neural networks , 1994, APL '94.

[12]  Richard A. Ashley,et al.  Statistically significant forecasting improvements: how much out-of-sample data is likely necessary? ☆ , 2003 .

[13]  G. C. Tiao,et al.  Some advances in non‐linear and adaptive modelling in time‐series , 1994 .

[14]  Richard Weber,et al.  Improved supply chain management based on hybrid demand forecasts , 2007, Appl. Soft Comput..

[15]  Dominic Maratukulam,et al.  ANNSTLF-a neural-network-based electric load forecasting system , 1997, IEEE Trans. Neural Networks.

[16]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1971 .

[17]  Faming Liang,et al.  Bayesian neural networks for nonlinear time series forecasting , 2005, Stat. Comput..

[18]  Andreas S. Weigend,et al.  Time Series Prediction: Forecasting the Future and Understanding the Past , 1994 .

[19]  M. Medeiros,et al.  Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination , 2005 .

[20]  Chung-Ming Kuan,et al.  Forecasting exchange rates using feedforward and recurrent neural networks , 1992 .

[21]  Blake LeBaron,et al.  A Bootstrap Evaluation of the Effect of Data Splitting on Financial Time Series , 1996, IEEE Trans. Neural Networks.

[22]  Marie Cottrell,et al.  Neural modeling for time series: A statistical stepwise method for weight elimination , 1995, IEEE Trans. Neural Networks.

[23]  Maciej Ogorzalek,et al.  Time series prediction with ensemble models applied to the CATS benchmark , 2007, Neurocomputing.

[24]  Fong-Lin Chu,et al.  Analyzing and forecasting tourism demand with ARAR algorithm , 2008 .

[25]  S. J. Kiartzis,et al.  A neural network short term load forecasting model for the Greek power system , 1996 .

[26]  Amir F. Atiya,et al.  Multi-step-ahead prediction using dynamic recurrent neural networks , 2000, Neural Networks.

[27]  Paulo S. A. Freitas,et al.  Model combination in neural-based forecasting , 2006, Eur. J. Oper. Res..

[28]  Victor L. Berardi,et al.  Time series forecasting with neural network ensembles: an application for exchange rate prediction , 2001, J. Oper. Res. Soc..

[29]  S. Devotta,et al.  Prediction of ambient carbon monoxide concentration using nonlinear time series analysis technique , 2007 .

[30]  Ali Azadeh,et al.  Forecasting electrical consumption by integration of Neural Network, time series and ANOVA , 2007, Appl. Math. Comput..

[31]  E. Michael Azoff,et al.  Neural Network Time Series: Forecasting of Financial Markets , 1994 .

[32]  Guoqiang Peter Zhang,et al.  A neural network ensemble method with jittered training data for time series forecasting , 2007, Inf. Sci..

[33]  Michael Y. Hu,et al.  A simulation study of artificial neural networks for nonlinear time-series forecasting , 2001, Comput. Oper. Res..

[34]  Noel E. Sharkey,et al.  Combining diverse neural nets , 1997, The Knowledge Engineering Review.

[35]  Bo Zhong,et al.  BP neural network with rough set for short term load forecasting , 2009, Expert Syst. Appl..

[36]  Danilo P. Mandic,et al.  Recurrent Neural Networks for Prediction: Learning Algorithms, Architectures and Stability , 2001 .

[37]  J. Gooijer,et al.  Some recent developments in non-linear time series modelling, testing, and forecasting☆ , 1992 .

[38]  Wilpen L. Gorr,et al.  Editorial: Research prospective on neural network forecasting , 1994 .

[39]  P. Werbos,et al.  Beyond Regression : "New Tools for Prediction and Analysis in the Behavioral Sciences , 1974 .

[40]  Kengo Katayama,et al.  Performance of a genetic algorithm for the graph partitioning problem , 2003 .

[41]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1972 .

[42]  Marcelo C. Medeiros,et al.  What are the effects of forecasting linear time series with neural networks , 2001 .

[43]  Guoqiang Peter Zhang,et al.  Trend Time–Series Modeling and Forecasting With Neural Networks , 2008, IEEE Transactions on Neural Networks.

[44]  Çagdas Hakan Aladag,et al.  A new model selection strategy in artificial neural networks , 2008, Appl. Math. Comput..

[45]  Alberto Gómez,et al.  Forecasting next-day price of electricity in the Spanish energy market using artificial neural networks , 2008, Eng. Appl. Artif. Intell..

[46]  Gregor von Laszewski,et al.  Intelligent Structural Operators for the k-way Graph Partitioning Problem , 1991, ICGA.

[47]  Albert Sesé,et al.  Designing an artificial neural network for forecasting tourism time series , 2006 .

[48]  J. Scott Armstrong,et al.  Principles of forecasting , 2001 .

[49]  Chee Peng Lim,et al.  Predicting drug dissolution profiles with an ensemble of boosted neural networks: a time series approach , 2003, IEEE Trans. Neural Networks.

[50]  Krzysztof J. Cios,et al.  Time series forecasting by combining RBF networks, certainty factors, and the Box-Jenkins model , 1996, Neurocomputing.

[51]  Eberhard Schöneburg,et al.  Stock price prediction using neural networks : A project report , 2003 .

[52]  Yanqing Zhang,et al.  Statistical fuzzy interval neural networks for currency exchange rate time series prediction , 2007, Appl. Soft Comput..

[53]  Barry Lennox,et al.  Industrial application of neural networks — an investigation , 2001 .

[54]  Marcelo C. Medeiros,et al.  A hybrid linear-neural model for time series forecasting , 2000, IEEE Trans. Neural Networks Learn. Syst..

[55]  Kishan G. Mehrotra,et al.  Forecasting the behavior of multivariate time series using neural networks , 1992, Neural Networks.

[56]  James L. McClelland,et al.  Parallel distributed processing: explorations in the microstructure of cognition, vol. 1: foundations , 1986 .

[57]  Guoping Xia,et al.  An investigation and comparison of artificial neural network and time series models for Chinese food grain price forecasting , 2007, Neurocomputing.

[58]  Berna Yazici,et al.  Comparison of ARIMA, neural networks and hybrid models in time series: tourist arrival forecasting , 2007 .

[59]  C. Granger,et al.  Forecasting from non-linear models in practice , 1994 .

[60]  Bo K. Wong,et al.  A bibliography of neural network business applications research: 1994-1998 , 2000, Comput. Oper. Res..

[61]  M. Medeiros,et al.  Building Neural Network Models for Time Series: A Statistical Approach , 2002 .

[62]  Haralambos Sarimveis,et al.  A combined model predictive control and time series forecasting framework for production-inventory systems , 2008 .

[63]  Russell Reed,et al.  Pruning algorithms-a survey , 1993, IEEE Trans. Neural Networks.

[64]  J. Stock,et al.  A Comparison of Direct and Iterated Multistep Ar Methods for Forecasting Macroeconomic Time Series , 2005 .

[65]  J. Scott Armstrong,et al.  Principles of forecasting : a handbook for researchers and practitioners , 2001 .

[66]  Ashu Jain,et al.  Hybrid neural network models for hydrologic time series forecasting , 2007, Appl. Soft Comput..

[67]  J. Vermaak,et al.  Recurrent neural networks for short-term load forecasting , 1998 .

[68]  In-Bong Kang,et al.  Multi-period forecasting using different models for different horizons: an application to U.S. economic time series data , 2003 .

[69]  Nian Zhang,et al.  Time series prediction with recurrent neural networks trained by a hybrid PSO-EA algorithm , 2004, Neurocomputing.

[70]  Michele Marchesi,et al.  A hybrid genetic-neural architecture for stock indexes forecasting , 2005, Inf. Sci..

[71]  Norman R. Swanson,et al.  A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks , 1995 .

[72]  Hojjat Adeli,et al.  Dynamic Wavelet Neural Network Model for Traffic Flow Forecasting , 2005 .

[73]  J. V. Hansen,et al.  Forecasting and recombining time-series components by using neural networks , 2003, J. Oper. Res. Soc..

[74]  Peter T. Ittig,et al.  A Seasonal Index for Business , 1997 .

[75]  R. E. Abdel-Aal,et al.  Univariate modeling and forecasting of monthly energy demand time series using abductive and neural networks , 2008, Comput. Ind. Eng..

[76]  Clive W. J. Granger,et al.  Strategies for Modelling Nonlinear Time‐Series Relationships* , 1993 .

[77]  Guoqiang Peter Zhang,et al.  Quarterly Time-Series Forecasting With Neural Networks , 2007, IEEE Transactions on Neural Networks.

[78]  R. J. Bhansali,et al.  DIRECT AUTOREGRESSIVE PREDICTORS FOR MULTISTEP PREDICTION: ORDER SELECTION AND PERFORMANCE RELATIVE TO THE PLUG IN PREDICTORS , 1997 .

[79]  Danilo P. Mandic,et al.  Recurrent Neural Networks for Prediction: Learning Algorithms, Architectures and Stability , 2001 .

[80]  A. Mishra,et al.  Drought forecasting using feed-forward recursive neural network , 2006 .

[81]  Alfredo Vellido,et al.  Neural networks in business: a survey of applications (1992–1998) , 1999 .

[82]  Amir F. Atiya,et al.  A comparison between neural-network forecasting techniques-case study: river flow forecasting , 1999, IEEE Trans. Neural Networks.

[83]  Carlos E. Pedreira,et al.  Neural networks for short-term load forecasting: a review and evaluation , 2001 .

[84]  David F. Hendry,et al.  Non-Parametric Direct Multi-Step Estimation for Forecasting Economic Processes , 2004 .

[85]  Yevgeniy V. Bodyanskiy,et al.  Neural network approach to forecasting of quasiperiodic financial time series , 2006, Eur. J. Oper. Res..

[86]  Holger R. Maier,et al.  Neural networks for the prediction and forecasting of water resource variables: a review of modelling issues and applications , 2000, Environ. Model. Softw..

[87]  William Remus,et al.  Neural Networks for Time-Series Forecasting , 2001 .

[88]  Guoqiang Peter Zhang,et al.  Neural network forecasting for seasonal and trend time series , 2005, Eur. J. Oper. Res..

[89]  Guoqiang Peter Zhang,et al.  An investigation of neural networks for linear time-series forecasting , 2001, Comput. Oper. Res..

[90]  David E. Rumelhart,et al.  Predicting the Future: a Connectionist Approach , 1990, Int. J. Neural Syst..

[91]  Mehdi Khashei,et al.  A new hybrid artificial neural networks and fuzzy regression model for time series forecasting , 2008, Fuzzy Sets Syst..

[92]  Min Wei,et al.  What Does the Yield Curve Tell Us About GDP Growth? , 2003 .

[93]  Guoqiang Peter Zhang,et al.  An empirical investigation of bias and variance in time series forecasting: modeling considerations and error evaluation , 2003, IEEE Trans. Neural Networks.

[94]  Derek W. Bunn,et al.  Large neural networks for electricity load forecasting: Are they overfitted? , 2005 .

[95]  Mark Dougherty,et al.  A REVIEW OF NEURAL NETWORKS APPLIED TO TRANSPORT , 1995 .

[96]  David Horn,et al.  Combined Neural Networks for Time Series Analysis , 1993, NIPS.

[97]  Guilherme De A. Barreto,et al.  Time Series Prediction with the Self-Organizing Map: A Review , 2007, Perspectives of Neural-Symbolic Integration.

[98]  Yves Candau,et al.  Hourly ozone prediction for a 24-h horizon using neural networks , 2008, Environ. Model. Softw..

[99]  Claas de Groot,et al.  Analysis of univariate time series with connectionist nets: A case study of two classical examples , 1991, Neurocomputing.

[100]  Yi-Hsien Wang,et al.  Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach , 2009, Expert Syst. Appl..

[101]  Udo Wagner,et al.  Applications of artificial neural networks in management science: a survey , 1999 .

[102]  Coskun Hamzaçebi,et al.  Improving artificial neural networks' performance in seasonal time series forecasting , 2008, Inf. Sci..

[103]  Douglas Kline,et al.  Methods for Multi-Step Time Series Forecasting Neural Networks , 2004 .

[104]  Christopher M. Bishop,et al.  Neural networks for pattern recognition , 1995 .

[105]  William Remus,et al.  Time series forecasting using neural networks: should the data be deseasonalized first? , 1999 .

[106]  Eric Ghysels,et al.  Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? , 1996 .

[107]  Diyar Akay,et al.  Comparison of direct and iterative artificial neural network forecast approaches in multi-periodic time series forecasting , 2009, Expert Syst. Appl..

[108]  Peter Stagge,et al.  Recurrent neural networks for time series classification , 2003, Neurocomputing.

[109]  Richard G. Hoptroff,et al.  The principles and practice of time series forecasting and business modelling using neural nets , 1993, Neural Computing & Applications.

[110]  Antonino Parisi,et al.  Forecasting gold price changes: Rolling and recursive neural network models , 2008 .

[111]  Emi Nakamura,et al.  Inflation forecasting using a neural network , 2005 .

[112]  Marcus Frean,et al.  The Upstart Algorithm: A Method for Constructing and Training Feedforward Neural Networks , 1990, Neural Computation.

[113]  H. Brian Hwarng,et al.  Insights into neural-network forecasting of time series corresponding to ARMA(p,q) structures , 2001 .

[114]  Milton S. Boyd,et al.  Designing a neural network for forecasting financial and economic time series , 1996, Neurocomputing.

[115]  Adam Fadlalla,et al.  An Analysis of the Applications of Neural Networks in Finance , 2001, Interfaces.

[116]  Guilherme De A. Barreto,et al.  Long-term time series prediction with the NARX network: An empirical evaluation , 2008, Neurocomputing.

[117]  R. D. Jones,et al.  A Neural Net Model for Prediction , 1994 .

[118]  Michael Y. Hu,et al.  Forecasting with artificial neural networks: The state of the art , 1997 .

[119]  Brian D. Ripley,et al.  Pattern Recognition and Neural Networks , 1996 .

[120]  William Remus,et al.  Neural Network Models for Time Series Forecasts , 1996 .

[121]  Amanda J. C. Sharkey,et al.  On Combining Artificial Neural Nets , 1996, Connect. Sci..

[122]  David Zimbra,et al.  A dynamic artificial neural network model for forecasting time series events , 2005 .

[123]  Philip Hans Franses,et al.  Recognizing changing seasonal patterns using artificial neural networks , 1997 .

[124]  Guoqiang Peter Zhang,et al.  An investigation of model selection criteria for neural network time series forecasting , 2001, Eur. J. Oper. Res..

[125]  Chris Chatfield,et al.  Time series forecasting with neural networks: a comparative study using the air line data , 2008 .

[126]  Vinod Kumar Jain,et al.  A new scheme to predict chaotic time series of air pollutant concentrations using artificial neural network and nearest neighbor searching , 2008 .

[127]  Robert L. Winkler,et al.  The accuracy of extrapolation (time series) methods: Results of a forecasting competition , 1982 .

[128]  J. Keith Ord,et al.  Automatic neural network modeling for univariate time series , 2000 .

[129]  Carol E. Brown,et al.  Artificial neural networks in accounting and finance: modeling issues , 2000 .

[130]  Panagiotis Patrinos,et al.  Time series sales forecasting for short shelf-life food products based on artificial neural networks and evolutionary computing , 2006 .

[131]  Guoqiang Peter Zhang,et al.  Time series forecasting using a hybrid ARIMA and neural network model , 2003, Neurocomputing.

[132]  Bahman Kermanshahi,et al.  Recurrent neural network for forecasting next 10 years loads of nine Japanese utilities , 1998, Neurocomputing.